LOCAL PARTITIONED QUANTILE REGRESSION

doi:10.1017/S0266466616000293

CORC > 上海财经大学 > 上海财经大学

	LOCAL PARTITIONED QUANTILE REGRESSION
	Zhang, Zhengyu
刊名	ECONOMETRIC THEORY
	2017-10
卷号	33 期号:5 页码:1081-1120
ISSN号	0266-4666
DOI	10.1017/S0266466616000293
英文摘要	In this paper, we consider the nonparametric estimation of a broad class of quantile regression models, in which the partially linear, additive, and varying coefficient models are nested. We propose for the model a two-stage kernel-weighted least squares estimator by generalizing the idea of local partitioned mean regression (Christopeit and Hoderlein, 2006, Econometrica 74, 787-817) to a quantile regression framework. The proposed estimator is shown to have desirable asymptotic properties under standard regularity conditions. The new estimator has three advantages relative to existing methods. First, it is structurally simple and widely applicable to the general model as well as its submodels. Second, both the functional coefficients and their derivatives up to any given order can be estimated. Third, the procedure readily extends to censored data, including fixed or random censoring. A Monte Carlo experiment indicates that the proposed estimator performs well in finite samples. An empirical application is also provided.
WOS研究方向	Business & Economics ; Mathematics ; Mathematical Methods In Social Sciences
语种	英语
出版者	CAMBRIDGE UNIV PRESS
WOS记录号	WOS:000408379200003
内容类型	期刊论文
源URL	[http://10.2.47.112/handle/2XS4QKH4/882]
专题	上海财经大学
通讯作者	Zhang, Zhengyu
作者单位	Shanghai Univ Finance & Econ, Shanghai, Peoples R China
推荐引用方式 GB/T 7714	Zhang, Zhengyu. LOCAL PARTITIONED QUANTILE REGRESSION[J]. ECONOMETRIC THEORY,2017,33(5):1081-1120.
APA	Zhang, Zhengyu.(2017).LOCAL PARTITIONED QUANTILE REGRESSION.ECONOMETRIC THEORY,33(5),1081-1120.
MLA	Zhang, Zhengyu."LOCAL PARTITIONED QUANTILE REGRESSION".ECONOMETRIC THEORY 33.5(2017):1081-1120.